Piecewise linear rank-dependent utility
Craig Webb ()
Theory and Decision, 2017, vol. 82, issue 3, 403-414
Abstract Choice under risk is modelled using a piecewise linear version of rank-dependent utility. This model can be considered a continuous version of NEO-expected utility (Chateauneuf et al., J Econ Theory 137:538–567, 2007). In a framework of objective probabilities, a preference foundation is given, without requiring a rich structure on the outcome set. The key axiom is called complementary additivity.
Keywords: Rank-dependent utility; Security and potential level preferences; Optimism; Pessimism (search for similar items in EconPapers)
JEL-codes: D81 (search for similar items in EconPapers)
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